Calendar anomalies in cash and stock index futures: International evidence
β Scribed by Floros, Christos; Salvador, Enrique
- Book ID
- 121749403
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 488 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0264-9993
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The authors gratefully acknowledge the financial support of the Chicago Board of Trade Educa-'See Stoll and Whaley (1987) for a summary of the debate and their analysis. 'See Grossman (1988) for a limitation in the use of futures in dynamic hedging strategies. 3These deviations of actual from theore
With the advent of futures contracts on stock indexes, active and offensively minded portfolio risk management, in its broadest sense, became practicable. In effect, the risk manager and the individual investor gained We are grateful to Ian Garrett, Andrew Foster, and Jonty Rougier for helpful comme
## Abstract This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futuresβcash basis. The empirical results provide evidence of commonality
## Abstract This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evoluti